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Optimal Portfolios with Fixed Consumption or Income Streams

  • We consider some portfolio optimisation problems where either the investor has a desire for an a priori specified consumption stream or/and follows a deterministic pay in scheme while also trying to maximize expected utility from final wealth. We derive explicit closed form solutions for continuous and discrete monetary streams. The mathematical method used is classical stochastic control theory.

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Author:R. Korn, M. Krekel
URN (permanent link):urn:nbn:de:hbz:386-kluedo-12943
Serie (Series number):Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) (31)
Document Type:Report
Language of publication:English
Year of Completion:2002
Year of Publication:2002
Publishing Institute:Fraunhofer-Institut für Techno- und Wirtschaftsmathematik
Date of the Publication (Server):2004/02/02
Tag:HJB equation; Portfolio optimisation; discretisation of control problems; stochastic control
Faculties / Organisational entities:Fraunhofer (ITWM)
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
Licence (German):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011